Listar GI-M2NICA - Congresos, conferencias, etc. por autor "Oosterlee, Cornelis"
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Machine Learning to Compute Implied Volatility from European/American Options Considering Dividend Yield
Liu, Shuaiqiang; Leitao, Álvaro; Borovykh, Anastasia; Oosterlee, Cornelis (MDPI AG, 2020-09-15)[Abstract] Computing implied volatility from observed option prices is a frequent and challenging task in finance, even more in the presence of dividends. In this work, we employ a data-driven machine learning approach ...